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Diffusion Approximation Of Stochastic Additive Functionals Of Jump Markov Processes
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Book Synopsis Diffusion approximation of stochastic additive functionals of jump Markov processes by : Volodymyr V. Koroljuk
Download or read book Diffusion approximation of stochastic additive functionals of jump Markov processes written by Volodymyr V. Koroljuk and published by . This book was released on 1991 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Diffusion Approximation of Stochastic Additive Functionals of Jump Markov Processes by : Vladimir V. Korolyuk (Mathématicien.)
Download or read book Diffusion Approximation of Stochastic Additive Functionals of Jump Markov Processes written by Vladimir V. Korolyuk (Mathématicien.) and published by . This book was released on 1991 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Diffusion Approximation of Stochastic Additive Functionals of Jump Markov Processes by : V. V. Korolyuk
Download or read book Diffusion Approximation of Stochastic Additive Functionals of Jump Markov Processes written by V. V. Korolyuk and published by . This book was released on 1991 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Systems in Merging Phase Space by : Vladimir Semenovich Koroli?uk
Download or read book Stochastic Systems in Merging Phase Space written by Vladimir Semenovich Koroli?uk and published by World Scientific. This book was released on 2005 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides recent results on the stochastic approximation of systems by weak convergence techniques. General and particular schemes of proofs for average, diffusion, and Poisson approximations of stochastic systems are presented, allowing one to simplify complex systems and obtain numerically tractable models.The systems discussed in the book include stochastic additive functionals, dynamical systems, stochastic integral functionals, increment processes and impulsive processes. All these systems are switched by Markov and semi-Markov processes whose phase space is considered in asymptotic split and merging schemes. Most of the results from semi-Markov processes are new and presented for the first time in this book.
Book Synopsis Diffusion Approximation of Stochastic Integral Functionals of Jump Markov Processes by : Volodymyr V. Koroljuk
Download or read book Diffusion Approximation of Stochastic Integral Functionals of Jump Markov Processes written by Volodymyr V. Koroljuk and published by . This book was released on 1991 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Evolution of Systems in Random Media by : Vladimir S. Korolyuk
Download or read book Evolution of Systems in Random Media written by Vladimir S. Korolyuk and published by CRC Press. This book was released on 1995-09-11 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolution of Systems in Random Media is an innovative, application-oriented text that explores stochastic models of evolutionary stochastic systems in random media. Specially designed for researchers and practitioners who do not have a background in random evolutions, the book allows non-experts to explore the potential information and applications that random evolutions can provide.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1992 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Continuous Strong Markov Processes in Dimension One by : Sigurd Assing
Download or read book Continuous Strong Markov Processes in Dimension One written by Sigurd Assing and published by Springer. This book was released on 2006-11-14 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents an in-depth study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. Departing from the classical approaches, a unified investigation of regular as well as arbitrary non-regular diffusions is provided. A general construction method for such processes, based on a generalization of the concept of a perfect additive functional, is developed. The intrinsic decomposition of a continuous strong Markov semimartingale is discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.
Book Synopsis Stochastic Models of Systems by : Vladimir S. Korolyuk
Download or read book Stochastic Models of Systems written by Vladimir S. Korolyuk and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph stochastic models of systems analysis are discussed. It covers many aspects and different stages from the construction of mathematical models of real systems, through mathematical analysis of models based on simplification methods, to the interpretation of real stochastic systems. The stochastic models described here share the property that their evolutionary aspects develop under the influence of random factors. It has been assumed that the evolution takes place in a random medium, i.e. unilateral interaction between the system and the medium. As only Markovian models of random medium are considered in this book, the stochastic models described here are determined by two processes, a switching process describing the evolution of the systems and a switching process describing the changes of the random medium. Audience: This book will be of interest to postgraduate students and researchers whose work involves probability theory, stochastic processes, mathematical systems theory, ordinary differential equations, operator theory, or mathematical modelling and industrial mathematics.
Book Synopsis On the Rate of Convergence in Diffusion Approximation of Jump Markov Processes by : Sven Erick Alm
Download or read book On the Rate of Convergence in Diffusion Approximation of Jump Markov Processes written by Sven Erick Alm and published by . This book was released on 1978 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book CWI Quarterly written by and published by . This book was released on 1991 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multidimensional Diffusion Processes by : Daniel W. Stroock
Download or read book Multidimensional Diffusion Processes written by Daniel W. Stroock and published by Springer. This book was released on 2007-02-03 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik
Book Synopsis Stochastic Systems by : Václav E. Beneš
Download or read book Stochastic Systems written by Václav E. Beneš and published by North Holland. This book was released on 1976 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parametrically stochastic linear differential equations; Entrance-exit distributions for Markov additive processes; Martingales of a jump process and absolutely continuous changes of measure; Analysis of Brownian functionals; Probabilistic representations of boundary layer expansions; Limit theorems and diffusion approximations for density dependent Markov chains; The choice of a stochastic model for a noise system; Asymptotic stability and angular convergence of stochastic systems; Value of information in zero-sum games; Sequential decision and stochastic control.
Book Synopsis Diffusions, Markov Processes, and Martingales: Volume 1, Foundations by : L. C. G. Rogers
Download or read book Diffusions, Markov Processes, and Martingales: Volume 1, Foundations written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 2000-04-13 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors' aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively and readable account of the theory of Markov processes. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
Download or read book Report AM-R written by and published by . This book was released on 1991 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Systems In Merging Phase Space by : Vladimir S Koroliuk
Download or read book Stochastic Systems In Merging Phase Space written by Vladimir S Koroliuk and published by World Scientific. This book was released on 2005-12-21 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides recent results on the stochastic approximation of systems by weak convergence techniques. General and particular schemes of proofs for average, diffusion, and Poisson approximations of stochastic systems are presented, allowing one to simplify complex systems and obtain numerically tractable models.The systems discussed in the book include stochastic additive functionals, dynamical systems, stochastic integral functionals, increment processes and impulsive processes. All these systems are switched by Markov and semi-Markov processes whose phase space is considered in asymptotic split and merging schemes. Most of the results from semi-Markov processes are new and presented for the first time in this book.
Book Synopsis A General Framework for Time-Changed Markov Processes and Applications by : Zhenyu Cui
Download or read book A General Framework for Time-Changed Markov Processes and Applications written by Zhenyu Cui and published by . This book was released on 2018 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a general approximation framework for the valuation of (path-dependent) options under time-changed Markov processes. The underlying background process is assumed to be a general Markov process, and we consider the case when the stochastic time change is constructed from either discrete or continuous additive functionals of another independent Markov process. We first approximate the underlying Markov process by a continuous time Markov chain (CTMC) and derive the functional equation characterizing the double transforms of the transition matrix of the resulting time-changed CTMC. Then we develop a two-layer approximation scheme by further approximating the driving process in constructing the time change using an independent CTMC. We obtain a single Laplace transform expression. Our framework incorporates existing time-changed Markov models in the literature as special cases, such as the time-changed diffusion process and the time-changed Lévy process. Numerical experiments illustrate the accuracy of our method.
